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Citations for "Microstructure noise in the continuous case: the pre-averaging approach"

by Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias

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  1. Fulvio Corsi & Davide Pirino & Roberto Renò, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Post-Print hal-00741630, HAL.
  2. Jacod, Jean & Mykland, Per A., 2015. "Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2910-2936.
  3. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, School of Economics and Management, University of Aarhus.
  4. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print peer-00732537, HAL.
  5. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2008. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," BIS Working Papers 249, Bank for International Settlements.
  6. Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, vol. 159(1), pages 235-250, November.
  7. Koike, Yuta, 2014. "Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling," Stochastic Processes and their Applications, Elsevier, vol. 124(8), pages 2699-2753.
  8. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
  9. Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
  10. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249.
  11. Nikolaus Hautsch & Mark Podolskij, 2010. "Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence," CREATES Research Papers 2010-29, School of Economics and Management, University of Aarhus.
  12. Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015. "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, vol. 187(2), pages 532-546.
  13. Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
  14. Zhang, Lan, 2011. "Estimating covariation: Epps effect, microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 33-47, January.
  15. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009. "Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading," Global COE Hi-Stat Discussion Paper Series gd08-037, Institute of Economic Research, Hitotsubashi University.
  16. Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank, Research Centre.
  17. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 58-68, January.
  18. Lee, Suzanne S. & Mykland, Per A., 2012. "Jumps in equilibrium prices and market microstructure noise," Journal of Econometrics, Elsevier, vol. 168(2), pages 396-406.
  19. Bibinger, Markus, 2012. "An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2411-2453.
  20. Figueroa-López, José E. & Nisen, Jeffrey, 2013. "Optimally thresholded realized power variations for Lévy jump diffusion models," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2648-2677.
  21. Maria Elvira Mancino & Simona Sanfelici, 2012. "Estimation of quarticity with high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 607-622, December.
  22. Harry-Paul Vander Elst & David Veredas, 2014. "Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices," Working Papers ECARES ECARES 2014-35, ULB -- Universite Libre de Bruxelles.
  23. Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2013. "On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 59-84.
  24. Cecilia Mancini & Vanessa Mattiussi & Roberto Renò, 2015. "Spot volatility estimation using delta sequences," Finance and Stochastics, Springer, vol. 19(2), pages 261-293, April.
  25. Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, School of Economics and Management, University of Aarhus.
  26. Neil Shephard & Silja Kinnebrock & Ole E. Barndorff-Neilsen, 2008. "Measuring downside risk - realised semivariance," Economics Series Working Papers 382, University of Oxford, Department of Economics.
  27. Reiß, Markus & Todorov, Viktor & Tauchen, George, 2015. "Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2955-2988.
  28. Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia, 2012. "Testing for jumps in noisy high frequency data," Journal of Econometrics, Elsevier, vol. 168(2), pages 207-222.
  29. Li, Yingying & Zhang, Zhiyuan & Zheng, Xinghua, 2013. "Volatility inference in the presence of both endogenous time and microstructure noise," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2696-2727.
  30. Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
  31. Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
  32. Podolskij, Mark & Vetter, Mathias, 2009. "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2803-2831, September.
  33. Silja Kinnebrock & Mark Podolskij, 2008. "An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models," CREATES Research Papers 2008-23, School of Economics and Management, University of Aarhus.
  34. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2005. "Edgeworth Expansions for Realized Volatility and Related Estimators," NBER Technical Working Papers 0319, National Bureau of Economic Research, Inc.
  35. M. Podolskij & D. Ziggel, 2010. "New tests for jumps in semimartingale models," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 15-41, April.
  36. Minjing Tao & Yahzen Wang & Qiwei Yao & Jian Zou, 2011. "Large volatility matrix inference via combining low-frequency and high-frequency approaches," LSE Research Online Documents on Economics 39321, London School of Economics and Political Science, LSE Library.
  37. Wang, Kent & Liu, Junwei & Liu, Zhi, 2013. "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1777-1786.
  38. Mancini, Cecilia, 2013. "Measuring the relevance of the microstructure noise in financial data," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2728-2751.
  39. Rosenbaum, Mathieu & Tankov, Peter, 2011. "Asymptotic results for time-changed Lévy processes sampled at hitting times," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1607-1632, July.
  40. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
  41. Kim Christensen & Roel Oomen & Mark Podolskij, 2011. "Fact or friction: Jumps at ultra high frequency," CREATES Research Papers 2011-19, School of Economics and Management, University of Aarhus.
  42. Kalnina, Ilze, 2011. "Subsampling high frequency data," Journal of Econometrics, Elsevier, vol. 161(2), pages 262-283, April.
  43. Clément, Emmanuelle & Gloter, Arnaud, 2011. "Limit theorems in the Fourier transform method for the estimation of multivariate volatility," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1097-1124, May.
  44. Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Papers 2012-W02, Economics Group, Nuffield College, University of Oxford.
  45. Yin Liao & Heather M. Anderson, 2011. "Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices," Monash Econometrics and Business Statistics Working Papers 9/11, Monash University, Department of Econometrics and Business Statistics.
  46. Torben B. Rasmussen, 2009. "Jump Testing and the Speed of Market Adjustment," CREATES Research Papers 2009-08, School of Economics and Management, University of Aarhus.
  47. Liu, Cheng & Tang, Cheng Yong, 2014. "A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data," Journal of Econometrics, Elsevier, vol. 180(2), pages 217-232.
  48. Xin-Bing Kong, 2013. "A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(4), pages 647-669, November.
  49. Vetter, Mathias, 2014. "Inference on the Lévy measure in case of noisy observations," Statistics & Probability Letters, Elsevier, vol. 87(C), pages 125-133.
  50. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.
  51. Markus Rei\ss, 2010. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," Papers 1001.3006, arXiv.org.
  52. Todorov, Viktor, 2009. "Estimation of continuous-time stochastic volatility models with jumps using high-frequency data," Journal of Econometrics, Elsevier, vol. 148(2), pages 131-148, February.
  53. Adam D. Bull, 2015. "Semimartingale detection and goodness-of-fit tests," Papers 1506.00088, arXiv.org.
  54. Jean Jacod & Mark Podolskij & Mathias Vetter, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-61, School of Economics and Management, University of Aarhus.
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